As someone said when you posted on LJ_dev, it really depends what you're most familiar in. I'm going to assume you're basically a novice in all 4 for this post: otherwise you'd just go with whatever you have the most experience in.
Visual Basic is easy to learn, but if you get to any advanced programming with it, you'll find yourself beating your head against the language a lot. Is it appopriate for your client? Well, that depends how complicated you anticipate your client becoming. If you just need to present a user interface and then make client-protocol calls to handle user actions, VB's will let you do that very
easily. If you need to do actual processing of data, I wouldn't recommend it. The language itself seems too weak (in my fairly limited experience) to support that.
Also, if you anticipate your client growing a lot in the future to encompass new features, I wouldn't use VB. I have friends that've done mildly-moderately complicated projects (like AIM bots) in it, and they quickly lost track of the code. VB's abstraction mechanisms are not as powerful as those of some other programming languages, so it gets tough to write large programs.
C++ is a tough language for a beginner to pick up. The syntax is horrid, and it can sometimes make you deal with details at a pretty low level. You'll have to handle all the memory management yourself, for example. It can be immensely useful for someone who knows what they're doing, but I wouldn't recommend it for beginners. Also, it's easy to pick up bad habits if you start with C++ without knowing the fundamentals of structured programming and object-oriented design.
Java (which J++ is based on and kinda-sorta mimics) is a fairly decent language. It's similar to C++, but has been simplified enormously, and basically forces you into learning object-oriented programming. My college teaches most of their courses in Java; IMHO it's a fairly good teaching language, though I wouldn't call it the be-all-and-end-all. It'll still be a fair bit more difficult than if you had programmed in VB, but it gives you more power in the long run.
I don't have any personal experience with Delphi, but I've heard lots of good things about it. Maybe Mark (xb95
) will comment...he did a client in Delphi, one that's gotten pretty good reviews from LJ users.
Also, expect a lot of different answers to your question. Everybody has their own personal language preferences, and often people don't see eye-to-eye on the advantages of different languages.